Hedge Fund Crowds and Mispricing
研究发现对冲基金股票持仓高度独立，即使集体买卖同一股票，其需求冲击也与后续收益正相关，否定了对冲基金扎堆导致市场不稳定的说法，对监管讨论有参考价值。
Recent models and the popular press suggest that large groups of hedge funds follow similar strategies resulting in crowded equity positions that destabilize markets. Inconsistent with this assertion, we find that hedge fund equity portfolios are remarkably independent. Moreover, when hedge funds do buy and sell the same stocks, their demand shocks are, on average, positively related to subsequent raw and risk-adjusted returns. Even in periods of extreme market stress, we find no evidence that hedge fund demand shocks are inversely related to subsequent returns. Our results have important implications for the ongoing debate regarding hedge fund regulation. This paper was accepted by Wei Jiang, finance.